ARIMA model (infer the inputs)

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Alex 2019 年 12 月 19 日

コメント済み: Alex 2019 年 12 月 20 日

Hello!

I have to estimate the following MA(1) model

where

is available time series. I can estimate the model parameter a and its variance using arima/estimate. However, how do I get the time series

after the model is estimated?

Thank you!

Ridwan Alam 2019 年 12 月 20 日

hmm.. just to be sure, you want to infer et, not rt, right?

Alex 2019 年 12 月 20 日

Yes, exactly (rt is known)!

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